Publications associées à Bourse de commerce

Predicting the stressed expected loss of large US banks

Eric Jondeau, Amir Hossein Khalilzadeh Naghneh

We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...

ELSEVIER2022

Are green bonds priced lower than their conventional peers?

Yue Wu

The green bond market's rapid growth has alerted issuers and investors to this sustainable area of investment. This study ascertains whether green bonds are priced lower than conventional bonds-whether a negative green bond premium exists in both Chinese a ...

ELSEVIER2022

Frictional Intermediation in Over-the-Counter Markets

Julien Hugonnier

We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...

OXFORD UNIV PRESS2020

Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...

EPFL2020

Signaling in OTC Markets: Benefits and Costs of Transparency

Alberto Mokak Teguia

We provide a theoretical rationale for dealer objections to ex post transparency in over-the-counter markets. Disclosure of the terms of a transaction conveys information possessed by the dealer about the asset quality and reduces the dealer's rents when s ...

CAMBRIDGE UNIV PRESS2020

Balancing management of strategic aggregators using non-cooperative game theory

Sidi-Rachid Cherkaoui, Mokhtar Bozorg, Mohammad Rayati

The aggregators are intermediary players at the distribution system level. They manage the financial transactions of resources such as micro-turbines (MTs), photo-voltaic (PV) production systems, flexible demands (FDs), and must-run demands (MDs) in the en ...

Elsevier2020

Essays in Financial Economics

Julien Arsène Blatt

I started my PhD studies in August 2014 with a strong desire to push my own limits without knowing precisely the areas I wanted to cover in detail. To me, it was clear that I was interested by many different fields, however, I was particularly concerned wi ...

EPFL2019

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Bioconversion of pentose sugars to value added chemicals and fuels: Recent trends, challenges and possibilities

Edgard Gnansounou, Vinod Kumar

Most of the crop plants contain about 30% of hemicelluloses comprising D-xylose and D-arabinose. One of the major limitation for the use of pentose sugars is that high purity grade D-xylose and D-arabinose are yet to be produced as commodity chemicals. Res ...

Elsevier2018

Dietary risk assessment of pesticides from vegetables and drinking water in gardening areas in Burkina Faso

Luiz Felippe De Alencastro, Edouard René Gilbert Lehmann

Vegetables and water samples have been collected around the lake of Loumbila in Burkina Faso. Pesticides resi- dues in food commodities were analyzed using a modified QuEChERS extraction method prior analysis on GC-MS and UPLC-MS/MS of 31 pesticides. Maxim ...

Elsevier2017

Essays in Financial Economics

Christoph Helmut Peter Herpfer

This thesis contains four chapters, each of which utilizes new or unusual data sources to analyze a different area of financial economics. In the first chapter, I construct a novel dataset linking individual bankers to large borrowers in the U.S. syndicate ...

EPFL2017

Exploring biochemical pathways for mono-ethylene glycol (MEG) synthesis from synthesis gas

Vassily Hatzimanikatis, Meriç Ataman, Noushin Hadadi

Mono-ethylene glycol (MEG) is an important petrochemical with widespread use in numerous consumer products. The current industrial MEG-production process relies on non-renewable fossil fuel-based feedstocks, such as petroleum, natural gas, and naphtha; hen ...

Academic Press Inc Elsevier Science2017

Supply Chain Management in Process Industries: Empirical Investigations for Commodity Markets

Philipp Urs Moser

Process industries (PI) have thrived in recent decades, but structural changes in the markets are currently putting both growth and profitability at risk. In a period of tumbling prices, supply chain management (SCM) is increasingly viewed as an essential ...

EPFL2016

Development of the methodology for the evaluation of a hydro-pumped storage power plant: Swiss case study

Edgard Gnansounou, Nikolaos Iliadis

During the last two decades, an evolving market structure is recognised starting from the spot market and its derivatives, resulting to several other markets such as the Intraday Market (IM), the Balancing Market (BM) and the Reserve Capacity Market (RCM). ...

Elsevier Science Bv2016

Penciling A Triboelectric Power Source On Paper

Jürgen Brugger, Xiao Sheng Zhang

We present a novel triboelectric nanogenerator (TENG) based on a paper-Teflon configuration fabricated by an easy and cost-efficient process. Carbon electrodes were hand-drawn by means of a graphite pencil on commercial paper cards, and the conductivity wa ...

Ieee2016

Protecting Options in Global Markets: Evidence on the Use of Strategic Disclosure

Christopher Tucci, Jana Thiel, Tilo Peters

We examine the impact of globally diverse market operations on a firm’s choice to openly disclose some of its technology. We suggest that this strategic disclosure offers solutions to specific needs in the commercialization strategy of globally operating f ...

2015

Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)

Semyon Malamud, Darrell Duffie

We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including ini ...

Elsevier2015

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

Information percolation in segmented markets

Semyon Malamud, Darrell Duffie

We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including ini ...

Elsevier2014

Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis

Franck Claude Raynaud

This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both withi ...

2012